Hi jester, better documentation about the build process is something we are working on. To answer some of your questions, the build process grabs all of your files (everything you steal) and bundles them together into production.js. So yes, jQuery will be part of that file. You can exclude it by setting packaged: false in your stealconfig.js under shims, like you said. Some people believe you should always load things like jQuery from a CDN while others believe that limiting the number of requests is more important, so I can't give you a clear answer on that. It's up to you. Personally I build jQuery into my production.js files and it isn't a problem. In a future version of steal it's going to be possible to package steal.js itself into production.js so that you only have the single request in prod environment.
The multi build system is really nice. It automatically detects which dependencies are shared and creates separate packages for this shared dependencies. All you have to do is pass an array of apps that you want to build and it will do the rest of the work for you. Something like: steal.build.apps(['root/app1','root/app2','root/app3'], options …)
I hope this clarified things a little bit. Like I said, improving the documentation is a top priority for the Steal project. Let me know if you have any other questions.